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Chasing after returns and timing the market won't earn you substantial returns, much less generate systematic outperformance. What looked to be attractive returns turn out to be optical illusions: they don't adequately reflect the risks involved after all. To succeed in the stock market, what are needed are a transparent, efficient investment strategy and iron discipline rather than nerves of steel. One of the most promising strategies delivering the best risk-adjusted return is the minimum variance strategy. It does so by optimizing a basket of stocks to generate the lowest-possible portfolio variance.
List of contents
1 Introduction2 Economists Don't Make Good Investors3 Value the Key?4 Is Stock Picking Monkey Business?5 Is Indexing the Solution?6 Smart Beta: A Smart Idea7 Minimum Variance the Way Forward?8 Good, But Still Not Good Enough9 In a Nutshell
About the author
Adriano B. Lucatelli is a Swiss entrepreneur and investor in the financial services industry. He sits on the boards of directors of various companies. Since 2012, he has been lecturing at the University of Zurich on international finance.
Lucatelli has many years’ experience in managerial positions in various areas of major Swiss banks in Switzerland and the UK and has successfully set up and grown a Swiss securities house as well as cofounded an online asset management platform.
He studied international relations and economics at the London School of Economics (MSc) and the University of Nevada (BA). He earned a PhD from the University of Zurich on global financial market regulation. He also completed an MBA program at the University of Rochester (New York) and an advanced management program at the Wharton School of the University of Pennsylvania.
In 2011, he won the Distinguished Alumni Award from the College of Liberal Arts at the University of Nevada. The same year, he was nominated by Ernst & Young Switzerland for the firm’s Entrepreneur of the Year award.
In the course of his career, he has published articles in renowned newspapers and is the author of Finance and World Order (Praeger) and Off-Target Corporate Governance (Versus).
Summary
Chasing after returns and timing the market won’t earn you substantial returns, much less generate systematic outperformance. What looked to be attractive returns turn out to be optical illusions: they don’t adequately reflect the risks involved after all. To succeed in the stock market, what are needed are a transparent, efficient investment strategy and iron discipline rather than nerves of steel. One of the most promising strategies delivering the best risk-adjusted return is the minimum variance strategy. It does so by optimizing a basket of stocks to generate the lowest-possible portfolio variance.
